An understanding of interactions within the tumor microenvironment (TME) of classic Hodgkin lymphoma (cHL) has helped pave the way to novel immunotherapies that have enabled dormant and tumor-tolerant immune cells to be reactivated. The immunosuppressive nature of the TME in cHL specifically inhibits the proliferation and activity of natural killer (NK) cells, which contributes to tumor immune-escape mechanisms. This deficiency of NK cells begins at the tumor site and progresses systemically in patients with advanced disease or adverse prognostic factors. Several facets of cHL account for this effect on NK cells. Locally, malignant Reed–Sternberg cells and cells from the TME express ligands for inhibitory receptors on NK cells, including HLA-E, HLA-G, and programmed death-ligand 1. The secretion of chemokines and cytokines, including soluble IL-2 receptor (sCD25), Transforming Growth Factor-β, IL-10, CXCL9, and CXCL10, mediates the systemic immunosuppression. This review also discusses the potential reversibility of quantitative and functional NK cell deficiencies in cHL that are likely to lead to novel treatments.